Systems and methods for trading

ABSTRACT

The present invention is systems and methods for trading. In accordance with these systems and methods, a plurality of trader work stations that are connected to a central server may be provided. Through the work stations and central server, the systems and methods may perform participant qualification, instrument creation, bid/offer entry and response, when hit and take, workup, price retention, price improvement, request for market, bid/off restoration, price generation, position conversion, marking to market, and delivery functions.

CROSS REFERENCE TO RELATED APPLICATIONS

This application is a divisional of U.S. non-provisional patentapplication Ser. No. 09/553,423, filed Apr. 19, 2000, now U.S. Pat. No.7,392,214 which claims the benefit of U.S. provisional PatentApplication No. 60/131,992, filed Apr. 30, 1999, each of which is herebyincorporated by reference herein in its entirety.

FIELD OF THE INVENTION

The present invention relates to systems and methods for trading. Moreparticularly, the present invention relates to systems and methods forthe managed trading of select classes of assets, especially currenciesand options, but also securities, financial instruments, commodities,and their derivatives in accordance with specific protocols in anauction format with controlled sequences of auction events.

BACKGROUND OF THE INVENTION

Economic activity has at its centerpiece the buyer/seller transactionfor all goods and services produced and consumed in the market economy.The buyer/seller transaction is the fundamental mechanism that allocatesresources to producers and output to consumers. The value of goods andservices is usually expressed in a currency of denomination such as U.S.dollars. This mechanism transcends national borders. Because trade ingoods and services flourishes across international borders, there isalso a need to obtain foreign currency and hence create markets wherecurrency itself is traded and is governed by the laws of supply anddemand.

Throughout history, there have been many different approaches adopted tobringing buyers and sellers of goods, services, and currency together,each with the key objective of permitting transactions at or as close aspossible to the “market” price of the tradable item satisfying thedesires of both buyers and sellers. By definition, the market price isthe price in given currency terms that a fully educated market, givenfull access, will transact select goods services, and currency.Discovery of the market price can only be accomplished by permittingfull access to the transaction by essentially all potential buyers andsellers and by allowing expression of each party's desires. However, thebuyer/seller transaction must be structured to operate at very low costsor it will distort the market price of the tradable items withartificially high transaction costs. Thus, as can be seen, the two keysto effective buyer/seller transactions—full access of expression andknowledge coupled with low transaction costs—can be and are oftenconflicting, necessitating trade-offs between trading efficiency andmarket knowledge.

Today, electronic matching and dealing systems have found successfulapplication in many trading activities, including the buying and sellingof a variety of items including goods, services, and currency. Many ofthese trading activities focus on the buying and selling of essentiallyfungible items, that is, items that are without meaningfuldifferentiation from like items on the market. For example, a sum ofcurrency to be deliverable on a certain date, e.g., 62,500 BritishPounds Sterling at a price of 1.65 United States Dollars per 1 BritishPound Sterling is indistinguishable from the same sum of currency ownedby another investor on that same date.

However, these electronic matching and dealing systems have notsignificantly impacted the goal of satisfying the complex desires ofbuyers and sellers in completing a transaction as they relate to tradingmany tradable items, such as those in the cash and futures currencyfield.

OBJECTS AND SUMMARY OF THE PRESENT INVENTION

It is, therefore, an object of the present invention to provide systemsand methods for implementing improved trading systems.

This and other objects of the invention are realized in a dataprocessing system having control logic for managing select tradingfunctions. The data processing system employs a plurality of tradingworkstations that are linked with a server for coordinated data flow andprocessing. Communication may be provided by a computer network, such asan Ethernet, a token ring, a token bus, and/or any other suitablenetwork configuration. The system preferably includes a dedicated keypadfor input from each workstation to facilitate providing individuallyprogrammed keystroke commands. Other keyboards, keypads, or voicecontrolled electronic devices can be used in the present system. Centralprocessing logic dictates the available order, trading and allocationoptions, and screen displays for each workstation. The screen displaysfor each workstation can also be controlled using logic in or connectedto the workstation. As orders and transactions are entered in thissystem, various protocols effect the allocation of bid/offer control,priority generation, exclusive trading time, and interactive trademanagement. As trades are completed, the system updates a linkeddatabase with the newly entered transactional data.

In accordance with a preferred embodiment of the present invention, thecontrol logic provides a set of thirteen trading states in which anyparticular auction or participant may occupy. Although, thirteen statesare illustrated, the present invention may be implemented withadditional or fewer states in accordance with the present invention. Thethirteen states are listed in Table 1.

TABLE 1 1. Participant Qualification State 2. Instrument Creation State3. Bid/Offer State 4. When State 5. Qualified Workup State 6. PriceRetention State 7. Price Improvement State 8. Request for Market State9. Restore State 10. Price Generation State 11. Position ConversionState 12. Marking to Market State 13. Delivery State

As various transactions are entered, the auction and participants occupyone of the above thirteen states. The “state” occupied determines theoptions available to each participant—and thus controls the flow oforders and trades in a cost-efficient and error-free manner. Whileparticipants may implement bidding, offering, and trading on differentlyconfigured workstations, the protocols are universal for allparticipants, thereby precluding aggressive control of transactions inthe absence of true capital commitment.

Currencies have characteristics that make them especially useful for thepurpose of the present invention and, therefore, are used exclusively inthe following discussions with the fundamental tenet that the principlesmay be applied to other types of goods, services, and assets, includingsecurities, financial instruments, commodities, and their derivativeswithout departing from the inventive concept of the present invention.

BRIEF DESCRIPTION OF THE DRAWINGS

The above and other objects and advantages of the present invention willbe apparent upon consideration of the following detailed description,taken in conjunction with the accompanying drawings, in which likereference characters refer to like parts throughout, and in which:

FIG. 1 is a block diagram of a trading system in accordance with oneembodiment of the present invention;

FIG. 2 is a block diagram of an auction market in accordance with oneembodiment of the present invention;

FIG. 3 is a state diagram illustrating the transitions between variousstates of an auction market in accordance with one embodiment of thepresent invention;

FIG. 4 is a flow diagram for a Participant Qualification State inaccordance with one embodiment of the present invention;

FIG. 5 is a flow diagram for an Instrument Creation State in accordancewith one embodiment of the present invention;

FIG. 6 is a flow diagram for a Bid/Offer State in accordance with oneembodiment of the present invention;

FIG. 7 is a flow diagram for a When State in accordance with oneembodiment of the present invention;

FIG. 8 is a flow diagram for a Qualified Workup State in accordance withone embodiment of the present invention;

FIG. 9 is a flow diagram for a Price Retention State in accordance withone embodiment of the present invention;

FIG. 10 is a flow diagram for a Price Improvement State in accordancewith one embodiment of the present invention;

FIG. 11 is a flow diagram for a Request for Market State in accordancewith one embodiment of the present invention;

FIG. 12 is a flow diagram for a Restore State in accordance with oneembodiment of the present invention;

FIG. 13 is a flow diagram for a Price Generation State in accordancewith one embodiment of the present invention;

FIG. 14 is a flow diagram for a Position Conversion State in accordancewith one embodiment of the present invention;

FIG. 15 is a flow diagram for a Marking to Market State in accordancewith one embodiment of the present invention;

FIG. 16 is a flow diagram for a Delivery State in accordance with oneembodiment of the present invention; and

FIGS. 17, 18, 19, 20, 21, 22 a, 22 b, 22 c, 22 d, 23 a, 23 b, 24 a, 24b, 24 c, 25 a, and 25 b are illustrative of trading quadrants or “QUADS”used in accordance with one embodiment of the present invention.

DETAILED DESCRIPTION OF THE INVENTION

The present invention is directed to systems and methods for creatingtrading instruments and implementing trading rules to support auctioningof the trading instruments. As illustrated in FIG. 1, the systems andmethods of the present invention may be implemented as part of a tradingsystem 100. More particularly, the present invention may be implementedin any or all of a market A 102, a market B 104, and a market C 106. Acentral processing and distribution system 108 may connect each ofmarkets 102, 104, and 106 by way of communication links 116.Communication links 116 may be any suitable communication mechanism. Avendor data service 110 may also be integrated into system 100 by way ofa communication link 116. Finally, clearing systems 112 and 114 may beprovided to clear transactions within or between markets 102, 104, and106.

As shown in FIG. 2, one embodiment of a market 102 that facilitates theauction process of the present invention is illustrated. As can be seen,market 102 may include one or more local workstations 202 and one ormore remote workstations 218. Workstations 202 and 218 may be anysuitable means for presenting data and, in preferred embodiments,accepting participant input. Each workstation enables a participant toengage in the auctioning process. For example, workstations 202 and 218may be personal computers, laptop computers, mainframe computers, dumbterminals, data displays, Internet browsers, etc.

The auctioning process occurring in market 102 is preferably controlledby server 206. Server 206 may be any suitable computer or server, suchas a network or Internet server. Server 206, as shown, may be connectedto workstations 202 by network 204 and connected to workstations 218 bynetwork 208, communication device 210, link 212, remote server 214, andnetwork 216. Networks 204 and 208 may be any suitable computer network,such as the Internet. Similarly, communication device 210, link 212,remote server 214, and network 216 may be any suitable components of acomputer network for enabling workstations 218 to connect to server 206,may be eliminated in part or whole, or may be supplemented by additionalcomponents. Although a specific arrangement is shown for connectingworkstations 218 to server 206, any suitable configuration may be usedin accordance with the present invention.

As also shown in FIG. 2, a telephone network 226 may be provided thatcomprises a local telephone 220 and a remote telephone 224 connected bya telephone line 222. Telephone network 226 may be used to enableparticipants at a remote location to communicate with participants oragents at workstations 202. This may be useful when the participants atthe remote locations do not have workstations 218 at their disposal orwhen the participants at the remote locations have display-onlyworkstations 218.

An illustration of one embodiment of control logic 300 that may beimplemented on server 206 to control the auctioning process is shown inFIG. 3. As can be seen, FIG. 3 shows a series of thirteen states 304,306, 308, 310, 312, 314, 316, 318, 320, 322, 324, 326, and 328. Alsoshown is a start state 302 and a command state 330 which simply acceptsparticipant commands and then triggers the appropriate one of the otherthirteen states. Each of the thirteen states is discussed further belowin connection with FIGS. 4-16. Although a particular set of states withparticular transitions between the states is illustrated, the presentinvention may be implemented with additional, fewer, or alternativestates and with additional, fewer, or alternative transitions betweenstates.

Although the present invention is illustrated herein using states, itshould be obvious to one of ordinary skill in the art that these statesmerely represent the ability to perform the underlying functions in eachstate. Accordingly, the present invention may be implemented without theuse of states while still performing the functions disclosed herein.

To better appreciate the following details of the states, a review ofthe nomenclature employed is recommended. Some terms used throughout thedetailed description are defined in Table 2. For perspective, it isworth noting that the illustrative examples which follow all focus oncurrencies and the trading of currencies in large volumes—with thevolume of a given transaction delineated in dollars (e.g., $10 Millionat a price of 124.10 Japanese Yen per U.S. Dollar).

TABLE 2 Participant—A person or controlling entity receiving andresponding to trading data. While the participant is often a trader orbroker acting on behalf of a customer, this is not the only arrangement.For example, a customer may interact as a participant directly. Acomputer may also be a participant. Still, other arrangements are alsopossible. Bid—Dollar or foreign currency amount proposed to buy acurrency. Offer—Dollar or foreign currency amount proposed to sell acurrency. Spread—Difference between the best bid and the best offer in amarket. Hit—Accepting a pending bid. Take or Lift—Accepting a pendingoffer. Size—The volume in dollars or foreign currency of a particularbid, offer, hit, or take. Makers—Participants with pending bids andoffers that are making a market. Market Makers—Participants who enterbids, offers, or bids and offers. Trade—A string of transactions at oneor more prices initiated by a hit or take and continuing until the tradeis timed out or done. Traders—After a trade is initiated, all of theparticipants involved in the transaction (as buyer or seller).Aggressor—A participant who initiates a trade by hitting or lifting (ortaking) a bid or offer, respectively. Active Side—Group of traders onthe same side of the market as the aggressor. Passive Side—Group oftraders on the opposite side of the market from the aggressor. UnclearedEntry—Bids or offers that give a maker priority. Exclusive Time—A timeperiod commenced by a trading action during which a qualifiedbidder/offerer and an aggressor have the opportunity to trade more size.Trader Surplus—Describes and quantifies the situation where an aggressorhas traded the entire size shown on the passive side at one or moreprice levels and is showing intent to trade more. This situation leadsthe way to a price improvement trade between aggressor(s) and passiveparticipants. Price Improvement Hit—An accepted sell order at or belowthe current best bid to sell a currency initially for more volume thanshown on the Passive Side. Price Improvement Take—An accepted buy orderat or above the current best offer to buy a currency initially for morevolume than shown on the Passive Side. Currency Swap—The exchange of onecurrency for another for a defined period of time. Spot—A currencytransaction that is normally valued and settled in one or two days froma trade date. Outright—A currency transaction that settles for a datebeyond the spot settlement date.

Focusing further on the nomenclature of the system logic, a “Trade” isconsidered a sequence of trading events, triggered by an initial hit ortake that defines the aggressor, and continues for all such transactionsuntil the trade “clears.” During a non-price improvement trade, theaggressor side remains active and all transactions take place at theprice set by the initial hit or take, regardless of the number offollowing transactions. To properly track activity, a trade preferablygenerates a virtual and/or a real trade ticket with an associated,screen-displayed reference number. Where a trade reflects more than asingle buy or sell, multiple trade tickets that each reflect the totalsize transacted per participant, per side, may be recorded.

In the Bid/Offer State, participants are referred to as “makers” and“contra-makers.” During other states, participants are referred to as“traders” and “contra-traders.” Under this notation, traders and makersare those participants that issue a trading command, while contra-makersand contra-traders are those participants who receive a trading command.Some participants, e.g., first qualified priority buyer and/or firstqualified priority seller, in the Qualified Workup State are known as“current workers” and are vested with the authority under system logicto control a trade for a predetermined duration of time.

As is explained in detail below and shown in FIGS. 17-25, informationabout trading progress and participants is provided to each participantat a workstation in the form of one or more selectively configuredscreen displays. In particular, the present invention provides forscreen displays in the form of trading quadrants, or “QUADS,” whereinkey trading indicators are displayed.

In FIG. 17, a QUAD 1700 for a Bid/Offer State is shown. As illustrated,the current bid is indicated in field 1702 as 120.150 Yen per Dollar for$25 million. The current offer is indicated in field 1704 as 120.160 Yenper Dollar for $15 million. The difference between the bid and offerindicates a spread of 0.01 (or 1 pip). When a trade is in progress, asinitiated by a hit or take from the Bid/Offer State, the participant'sattention is mainly directed to the conditional prompts 1706 and 1708showing the total sizes that are being bid and offered and that can beacted upon by the participants. These numbers are displayed at theintersection of the totals line and the Bid/Offer columns as 25 and 15,respectively. This total is further defined in the QUAD into individualpre-quantities 1710, 1712, 1714, and 1716, indicating the participants'sizes in their respective rows.

Participant Qualification State

Given the risks inherent in the buying, selling, and settlement ofcurrency instruments, participants desire the ability to control accessto their markets. The Participant Qualification State 304 (FIG. 3) inthe present invention allows participants, or subsets of participants,to set parameters that bound and confine the ability of anotherparticipant to place bids and offers, and to execute buy and sellcommands with respect to those participants or subsets of participants.One embodiment of this state is illustrated as process 400 in FIG. 4.

As shown, once a participant has accessed a market and thereby initiatedprocess 400 at step 402, the participant is directed to enter aparticipant id. and password at step 404. Upon determining the identityof the participant at step 404, process 400 then applies a hostqualification test at step 406. The host qualification test may be anysuitable method for determining whether a party is qualified toparticipate by the host of system 100. Once this test has beenperformed, process 400 proceeds to perform a third-party qualificationtest at step 408. Similarly, the third-party qualification test may beany suitable method for determining whether a party is qualified toparticipate by an existing participant in system 100. Alternatively,step 408 can be bypassed when the host qualification test is passed orfor any other reason by taking path 418.

Through the tests performed at steps 406 and 408, each participant mayobtain one or more quantifiable class rankings that provide creditlimits for that participant. These limits allow for dynamic allocationof potential bids or offers and hits or takes to the participants basedupon the dynamic limits of each participant.

For example, Participant CUST 2001 may be BANK A, which has an approvedlarge credit line for the trading of cash U.S. Government Securities andtheir related futures. Using criteria embedded in these tests andinformation provided by BANK A, e.g., equity capital, assets andliabilities, etc., process 400 may provide a ranking of creditworthiness, e.g., for BANK A, New York a ranking of “100.”Alternatively, other rankings are also possible, e.g., “A1,” “AAA,” or“100, A, 90, B.” In this latter example, 100 may represent a creditranking for currency swaps for BANK A with respect to anotherparticipant and 90 may represent the lowest credit acceptable as acounter party with that other participant for a currency swaptransaction. As another example, a ranking of 90 may correspond toparticipants who have the ability to only bid or offer $100 million ofspot currency.

Upon completing or bypassing the third-party qualification test of step408, process 400 may then assign qualification trading parameters to theparticipant based upon host and third-party qualifications at step 410.

In preferred embodiments of the present invention, the assignment ofthese trading parameters includes transitively linking participants.Transitive linking in the present invention enables a first participantwho is qualified to trade with a second participant to also trade with athird participant if that second participant is qualified to trade withthe third participant. This may be accomplished by creating, for everycombination of possible bidders, offerers, buyers, and sellers, asequence or set of bilateral counter party size limits that are assignedby currency instrument. For example, if, for a particular instrument,Participant CUST 2001 qualifies to trade with Participant CUST 2003, andif, for that same instrument, Participant CUST 2002 qualifies to tradewith Participant CUST 2001, then through the transitive linkingalgorithm of step 410, Participant CUST 2002 may be granted the right totrade with Participant CUST 2003.

Once the trading parameters have been assigned at step 410, process 400then determines whether the participant qualifies to trade at step 412.If the participant does not qualify, then a risk assessment function isperformed at step 414 and process 400 loops back to step 406. Otherwise,process 400 transitions to the command state at step 416.

The qualifying of any participant, or group of participants, may beperformed only once when the participant first enters market 102 ordynamically as trading progresses (as shown by step 420, for example).Similarly, limits that are used to determine a participant's, or a groupof participants, ranking may be set dynamically. In the ranking process,a metric or a set of metrics may be used to monitor a participant's or agroup of participants' activity. More particularly, this metric may takeinto account factors such as the number of trades made by theparticipant(s), the amount of trades made by the participant(s), thevolatility of the market, the price range of the market, the volume ofthe market, etc. By combining together these factors in the metric, forexample, the present invention provides participants with controls thatenable them to mitigate market counter party risk and enhance theintegrity of the market.

Instrument Creation State

Trading in foreign exchange highlights the need for special attention tovalue date identification. A value date in trading of currency is thedate on which the funds in the trade are actually exchanged. Forexample, in a spot transaction, the value date is typically two days.This means that a trade of U.S. Dollars for Japanese Yen is actuallyperformed two days from the trade date. Value date problems can arisefor several reasons such as different national holidays, differentclearing mechanisms, and requirements to confirm trades in writing.Because of these problems, it is necessary to use conventions for valuedating.

For example, spot currency value dates for dealings in foreigncurrencies in exchange for U.S. Dollars are usually two business daysfrom the transaction date, provided that those days are also businessdays in New York. If there is a holiday in either the country of theforeign currency or in New York, the value date is moved forward untilthere is a business day in both the foreign country and New York. If,however, one deals in Canadian Dollars, the “spot date” is taken to beone rather than two business days forward.

The same conventions are also applied in the case of outright, forwardvalue dates in foreign exchange. For example, a 2-month forwardtransaction will not have a value date 60 days ahead of the transactiondate when that date is not a business day in both the foreign countryand New York. Normally, as with spot transactions, this problem isovercome by moving the value date forward. If moving forward the valuedate would change the month of the contract, however, then the valuedate is moved backward to allow fixing of a value date for settlement.For example, a 2-month trade made on Dec. 4, 1998 (with a spot valuedate of December 8), has a value date of February 8 which is 62 daysfrom the spot value date.

When trading foreign exchange, it is important to know the exact datesof settlement as prices are quoted to reflect the time period betweenvalue dates. Currency futures contracts usually have single deliverydates, however, and hence mismatched value dates from holding hedgedpositions in the cash and futures markets is the norm.

Thus, it is apparent that the time between a trade date and thecorresponding value date for any particular type of transaction may notbe a fixed duration from one trade date to the next, and may also havean unequal duration when the same type of transaction for the same tradedate is applied to different currency pairs. In order to rectify themismatch and to increase the efficiency of the cash and futures marketas a hedging vehicle, the present invention controls the creation ofvalue dates for trading. The system interprets each nation's bankingholidays to properly identify the correct value date when quotingcurrency prices for each trading day by country of origin. For example,if there were a national holiday in Japan on May 1, then spot trading onApril 30 would still have a single value date for the Japanese Yen andthe U.S. dollar, i.e., May 3 for the Yen and May 3 for the U.S. dollar.

One embodiment of the Instrument Creation State 306 of the presentinvention is illustrated in FIG. 5 as process 500. As shown, process 500begins at step 502. Subsequently, at step 504, the participant isrequired to enter a currency pair. Then at step 506, process 500displays a date specification interface. This interface may be a simpledate entry field, a display of a calendar (or a series of calendars), adisplay of a series of options, or any other suitable interface. Forexample, one illustration of a date specification interface is shown inQUAD 1800 of FIG. 18.

Following the display of the date specification interface, process 500receives a user selection of a date indicator at step 508. For example,using the interface illustrated in QUAD 1800, a participant may activateany date cell 1802 through an input device. Upon activating a date cell,the date indicators 1804 are automatically translated to a valid valuedate at step 510. The valid value date is then presented on the screenat step 512. The present invention may then also present alternativevalue dates 1806 to the participant at step 514. Finally, process 500creates an instrument 1808 on the screen for each of the value datesdisplayed at step 516, and transitions to the Bid/Offer State at step518.

For example, as shown in QUAD 1800, by selecting “1MO,” two instrumentsfor a one-month swap are displayed. Each instrument shows the pricedifferential for an exchange for settlement in two days and the pricedifferential for an exchange for settlement at a future calendar date.The top instrument shows a future calendar date of March 7, and thebottom instrument shows a future calendar date of March 5.

In addition to allowing a participant to enter a currency pair and dateselection, the instrument creation state may allow the participant todesignate any characteristics of an instrument or commodity to betraded. For example, using drop-down menus, a participant could selectan option type (e.g., American or European), kind (e.g., call, put,straddle, or strangle), delta (e.g., 25, 15, or 5), and referencecurrency (e.g., Euros, Dollars, or Yen). Once the instrument isspecified, the present invention may then make the instrument availablefor trading in the Bid/Offer State.

Thus, it should be apparent that the instrument creation state of thepresent invention is especially convenient for the trading ofcurrencies, and thereby improves the complementary nature of the cashand the futures markets, and provides a more efficient hedging market.

Bid/Offer State

Once the Instrument Creation State generates a currency instrument,preferred embodiments of the present invention enable bids and offers tobe placed for the instrument through a Bid/Offer State. In this state, aparticipant can establish trading priority by placing a bid or offer ata select price and volume. Bids and offers for an instrument arepreferably displayed on the workstations such that all of the best bidsat the same price are displayed together, in order, based upon the timethe bids were made, and such that all of the best offers at the sameprice are displayed together in order based upon the time at which theoffers were made. As the best bids and offers are hit and taken,respectively, the next-best bids and offers are similarly displayed.Although the best bids and best offers are preferably initially arrangedin the display based upon time of placement, the bids and offers may beinitially arranged, or may be rearranged, based upon a size parameter orany other suitable parameter.

Importantly, both bids and offers are commitments once placed. A bid canbe “hit” and an offer can be “taken” or “lifted” by another participantwilling to trade the currency at the set price once the bid or offer hasbeen made. Once a bid or offer is hit or taken, respectively, the bidderor offerer is obligated to trade the corresponding currency. To maintainstability in the market, the present invention may control eachparticipant's command size in order to prevent a participant from makingorder transmittals that are outside of the participants' permissibletrading parameters as determined by the participant Qualification State.The present invention may also alert management to participants that areapproaching credit boundaries that have been established and updated inthe Participant Qualification State.

The participant hitting a bid or taking an offer may or may not have anoffer or bid, respectively, showing at the time of hitting or taking. Incertain embodiments of the present invention incorporating a When State,a bid or offer may only be available to, or only seen by, certainparticipants currently having outstanding bids or offers for a giventime interval. This bid or offer is referred to as being “uncleared.”After the given time interval has run, however, any remaining unclearedbids or offers become available to all participants. For certaincurrencies, the given time interval may be zero. By allowing thesecertain participants the first view of new entries, these participantsare rewarded for showing the market on their side. Thus, the initialbidders/offerers are invited to become aggressors and the given timeinterval provides these bidders/offerers time to make their decision bydelaying the entry into the market of new buyers and sellers.

A second type of priority is also granted if a bid/offer qualifies withregard to a minimum size definition. Bids and offers that are at leastas large as a system determined limit allow participant priority rightsto enter the Qualified Workup State. This is important to prevent someparticipants from holding up the trading desires of other participants,especially in fast moving or volatile markets.

To control trading between many participants, a hierarchy of tradingparticipants is set. A participant who hits a bid or lifts an offer isdesignated as an “aggressor.” The aggressor's side of the trade isdefined as the active side of the trade and the other side of the tradeis defined as the passive side of the trade. For example, if theparticipant hits a bid, then selling becomes the active side of thetrade and buying becomes the passive side of the trade. If theparticipant takes an offer, on the other hand, then buying becomes theactive side of the trade and selling becomes the passive side of thetrade.

Which side is the active side has an important practical considerationbecause, under some conventions, the active side is required to paycommissions on the ensuing transactions. When a Price-Improvement trade(as explained below) takes place, however, the commission on this trademay be divided among the participants in the trade. This allocation ofcommissions is premised on the notion that the active participants aretaking advantage of liquidity while the passive side is supplyingliquidity to the market, and on the notion that if a better price can beobtained during Price-Improvement trading, a passive trader is providedwith value that the passive trader should be willing to pay for. Furtherarrangements for commission allocation to encourage trading arepossible, e.g., choices among volume discounts, annual fixed fees, bothsides pay, and paying based on time and place of execution.

In preferred embodiments of the invention, when placing bids and offers,two size components may be entered. The first is the size to be shown orrevealed to the market and the second is the size to be hidden ornon-revealed to the market. The present invention may also beimplemented such that no hidden component may be entered. Although notdisplayed, the hidden or non-revealed size may be used for trading andprovides a buying or selling priority to the bidder or offerer. Forexample, a customer may post a hidden bid for $200 million versus Yen,but only show $50 million of that bid. In this way, the customer onlyneeds to disclose to potential sellers a desire to buy $50 million, whenin fact the customer would like to buy $200 million. This prevents thesellers from altering their price based upon the known intentions of thecustomer. When a bid or offer with a hidden size portion is hit orlifted, the bid or offer remains in the bid/offer queue until done.Alternatively or additionally, rather than preventing other participantsfrom knowing about the hidden portion of a bid or offer, the hiddenportion could be reflected in the total bid or offered size that isdisplayed at the conditional prompt.

To prevent participants from simply using multiple shown bids or offers,each for a portion of their total intended bid or offer, the presentinvention preferably prevents participants from getting the prioritybenefit of an earlier bid or offer for subsequent bids or offers. Forexample, in the example above, if the customer were to place four shownbids for $50 million, the second, third, and fourth bids would not beentitled to the time priority of the first, and thus would be subject tothe priority of intervening bidders.

In some embodiments of the present invention, hidden hits and/or takes(or lifts) may be permitted. In these embodiments, a potential aggressormay be able to designate to hit or take the next bid or offer at a givensize and/or price. Entry of the this hit or take is preferably not knownto other participants. Such hidden hits/takes may be given time, price,size, and/or any other suitable priority. For example, the first hiddenhit/take that is entered may be given priority, or the best pricehit/take may be given priority. Hidden hits/takes may be implemented soas to have a participant-designated duration or may expire based upon asystem defined parameter, or any other suitable parameter.

System logic also controls the execution of “all-or-none” bids andoffers, and hits and takes. In its simplest form, an all-or-none orderis an order that can only be executed if the full size of the order canbe met, e.g., a bid by a participant to buy $100 million at an exchangerate of 124.00 Yen/$ is filled when another participant agrees to sell$100 million at an exchange rate of 124.00 Yen/$.

To accommodate the needs of participants and extend the order placementand execution capabilities, the system may control “partial” executionsto allow a buildup or bunching of executions. By defining a timeinterval, all-or-none orders can be filled through one or more-than-onepassive trader responding to an all-or-none hit or take. For example, arequest to sell $100 million as an all-or-none order moves the requestorinto an aggressor and triggers the time interval in which passivetraders can respond. If within the time interval's expiration thereexist $100 million of bids from either one or more bidders, then thetrade is executed and cleared. The time interval is controlled by systemparameters and can be as long as a good till cancel order or a dayorder.

In certain embodiments of the present invention, the system or aparticipant may designate that a bid or offer can only be hit or takenin at least a certain minimum size. This feature may be provided inorder to prevent the bid or offer from being repeatedly hit or taken invery small increments. For example, with a bid or offer of a $100million in size, a participant may require that the minimum hit or takesize be $25 million. This would prevent another participant from hittingor taking at $10 million increments. Although the minimum may be set bythe bidder or offerer, the minimum could additionally or alternativelyalso be set by the system host or another participant.

One embodiment of a Bid/Offer State process 600 is illustrated in FIG.6. As shown, process 600 begins at step 602. Next, process 600 receivesa bid/offer from a participant at step 604. Using this bid/offer,process 600 then searches the existing bid/offer queues for a same pricequeue at step 606. At step 608, the process then determines if a sameprice queue was found. If a same price queue was found, then process 600determines the priority in the same price queue for this bid/offer atstep 622. This determination may be based upon the time of making thebid/offer, the size of the bid/offer, or upon any other factor orcombination of factors. Next, at step 624, the bid/offer is placed inthe found queue.

If an existing same price queue is not found at step 608, then a newqueue is created at step 610. Once the queue has been created, thebid/offer is loaded in the new queue at step 612. The new queue is thencompared to the best queue to determine which is better at step 614.This determination is typically based upon price such that a bid queueis better than another if the price is higher and an offer queue isbetter than another if the price is lower. If the new queue isdetermined to be better than the best queue at step 614, process 600then makes the new queue the best queue at step 616 and assignsuncleared entry status to the bid/offer, if the feature is active, atstep 618.

After assigning uncleared entry status at step 618, if active, afterdetermining that the new queue is not better than the best queue at step614, or after placing the bid/offer in an existing queue at step 624,process 600 then waits for an action on the bid/offer at step 620. Oncean action on the bid/offer has occurred, process 600 proceeds to step626 to determine if the action was a hit or take. If the action was nota hit or take, process 600 determines if the action was a modificationor deletion of the bid/offer at step 628. If there was a modification ordeletion of the bid/offer, the bid/offer is modified or deleted at step630. If there is no modification or deletion of the bid/offer or afterthe bid/offer has been modified or deleted, process 600 transitions tothe command state at step 644.

If it is determined at step 626, however, that the action was a hit ortake, process 600 then proceeds to step 632 to determine if thebid/offer is uncleared and the aggressor is not a maker. If it isdetermined at step 632 that the bid/offer is uncleared and the aggressoris not a maker, then process 600 temporarily transitions to the WhenState at step 634. Once the When State has completed and retransitionedto process 600 at step 634, or if it is determined at step 632 that thebid/offer is not uncleared or the aggressor is a maker, process 600executes the trades defined by the bids/offers and hits/takes at step636. Next process 600 determines whether the entire size of the passiveside has been hit/taken at step 638. If it is determined at step 638that the entire size of the passive side has been hit/taken, process 600then temporarily transitions to the Qualified Workup State at step 640.Once the Qualified Workup State has completed and retransitioned toprocess 600 at step 640, or if it is determined at step 638 that theentire size of the passive side has not been hit/taken, process 600loops back to step 620 to wait for another action on the bid/offer.

The screen display will change according to the various entries into thebidding process. In QUAD 1900 depicted in FIG. 19, participants3001-3003 on the bid side reflect a market of $27 million, as shown bythe conditional prompt 1902 in the bid column. This market includes afirst bid 1904 by participant CUST 3001 of $5 million. In this example,participant CUST 3007 has entered an uncleared offer 1906 of $10 million(asterisk indicates the offer is uncleared). This $10 million is alsoindicated in conditional prompt 1908 in the offer column. As explainedabove, the present invention may give the original makers a first chanceto review the new offer by 3007. After a given interval, however, themarket (and new offer) is again opened to all participants.Alternatively, rather than displaying the new offer to all biddersexclusively, the present invention may display the new offer to thehighest bidders in succession for a given time interval.

When State

The When State is triggered by a trading command against an unclearedbid/offer by an aggressor who is not one of the original makers on thecontra-side. Although the aggressor has entered a trading command, thesystem control will not allow this trading command by the new aggressorto be instantaneously executed. Rather, in accordance with the presentinvention, the trading processor creates a time interval or delay, andthereby provides the original maker(s) time to assess the new situationcreated by the aggressor by permitting response to the uncleared entryon the passive side.

In particular, as noted above, the uncleared status exists for a definedinterval that is controlled by computer timer and system parameterdesignating an on/off condition for the When State. A When State ispreferably only instituted during the time interval and when theparameter designates an on condition. The When State then lasts onlyuntil resolved by either the action of the original makers on the activeside or by the expiration of the interval timer within system logic.Whether the system parameter is designating an on or off condition is afunction of the liquidity and volatility of the underlying currency andis controlled by system logic.

During When State processing, the system displays the original makers(i.e., those participants existing with bid/offers outstanding prior tothe entry of the new aggressor) and the new trader(s) entering via hitor take commands on the pending uncleared bid/offer so that they areclearly separated on the screen. See, for example, QUAD 2150 of FIG. 21where makers 3002 and 3003 and trader 3001 are displayed. In the WhenState, the original makers are given the opportunity to trade at the newprice point established by the aggressor, and multiple makers from theoriginal list will each have access to take the new price in the orderof their priority in the queue. The system will increment through eachmaker, and if the maker matches the buy/sell order of the aggressor, themaker becomes the aggressor. If this occurs, the logic departs the WhenState and enters the Qualified Workup State.

However, if the interval timer expires without any matching by theoriginal makers, the When entries (one or several) will automaticallytrade and the original makers will not take part in this trade.

One embodiment of a When State process 700 is depicted in FIG. 7. Onceprocess 700 has begun at step 702, the aggressor initiating the WhenState is added to the uncleared list for this instrument at step 704.Next, at step 706, process 700 then determines whether a priority makerhas made a hit/lift on the new bid/offer. Step 706 is preferablyperformed by sequencing through each of the makers on the active side ofthe trade and determining if the maker with the highest priority desiresto make a hit/lift on the new bid/offer. If it is determined at step 706that a priority maker has not made a hit/lift on the new bid/offer,process 700 then proceeds to step 708 to determine if the new bid/offerhas cleared. If it is determined that the new bid/offer has not cleared,then process 700 loops back to step 706. Otherwise, process 700 appliesthe aggressor's hit/lift to the new bid/offer at step 714 and terminatesat step 716. If it is determined at step 706, however, that a prioritymaker did make a hit/lift on the new bid/offer, then process 700proceeds to step 710 to designate that maker as the aggressor and thento step 712 to make the hits/takes in the uncleared list bids/offers.Then, process 700 applies the aggressor's hit/lift to the new bid/offerat step 714 and terminates at step 716.

The following sequence example reflects the foregoing process 700. Asshown in QUAD 2100 of FIG. 20, the Bid/offer State has two participants,CUST 3002 and 3003, each showing bids 2102 and 2104 at $10 million.Participant CUST 3007 has just placed an uncleared offer 2106 for $1million (the uncleared status is indicated by the asterisk). ParticipantCUST 3001 wishes to take new offer 2106 by participant CUST 3007, but hecan't do so right away. As shown in QUAD 2150 of FIG. 21, participantCUST 3001 attempts to take 2152 offer 2106 by participant CUST 3007,forcing the system into the When State and creating an uncleared list2154 for the active side (i.e. the bid side, as shown). At this time,the pre-quantity of the first two bidders 2156 and 2158 is reduced tozero as the system logic requires that these bids cannot be enforced atthe new price point. In this example, the interval timer provides bothoriginal makers 2156 and 2158 priority over participant CUST 3001 2152,and participant CUST 3002 2156 retains overall priority via placement inthe queue.

Qualified Workup State

Transactions forming a trade take place in accordance with the presentinvention during the Qualified Workup State. The Qualified Workup Stateoccurs pursuant to hits or lifts by an aggressor that is taking theentire inventory of volume shown on the passive side. Once established,the Qualified Workup State gives exclusive rights to the trade to theinitial trader who is recognized as a qualified current worker.System-controlled parameters regulate the volumes of bids/offers andhits/takes that trigger the Qualified Workup State. These parametersdiscourage strategies that attempt to hold up markets through order andexecution fragmentation. On screen, current workers may be highlightedin a defined manner to indicate who they are to the other participants.Current workers control the trade and can submit additional transactionvolume to their contra-traders to the exclusion of outside participants.Current workers may include the aggressor (or possibly another trader onthe active side that moves the trade into the “Workup” State by fillingresidual volume that needs “Workdown”) and the participants on thepassive side with bids/offers that were hit/taken at the time ofentering the Qualified Workup State. Alternatively, on the passive side,only the highest priority participant may be designated as a currentworker.

The status of current worker may terminate upon entry of “done” by theparticipant, by the lapsing of the trading inactivity interval, or byreaching a specified limit on the number of workups or amount ofworkups. Again, this interval is a pre-set system parameter designatedby system logic. Absent such termination, current workers can tradealmost indefinitely, as long as they continue to respond to theircorresponding size offerings.

One embodiment of a Qualified Workup State process 800 is depicted inFIG. 8. Once process 800 has begun at step 802, process 800 determinesif the size of the bid/offer and/or hit/take qualifies for the QualifiedWorkup State at step 804. If the size of the bid/offer and/or hit/takeis below the system-controlled threshold, the participant cannotparticipate in a trade workup and process 800 terminates at step 818. Ifthe size qualifies at step 804, then process 800 designates the currentworkers on the active and passive sides at step 806. Then at the step808, process 800 determines whether the aggressor has indicated awillingness to trade at a price worse than the best price. If so, thenprocess 800 proceeds to step 810 where process 800 temporarilytransitions to the Price Improvement State. Once the Price ImprovementState terminates and retransitions to process 800 at step 810, process800 terminates at step 818.

If it is determined at step 808 that the aggressor has not indicated awillingness to trade at a price worse than the best price, process 800proceeds to step 812 to determine if any additional trades have beenmade. If it is determined that additional trades have been made, process800 executes those trades at step 814. Once the trades have beenexecuted at step 814, or if it is determined at step 812 that noadditional trades have been made, process 800 determines if the WorkupState has terminated at step 816. If the Workup State has notterminated, then process 800 loops back to step 812. Otherwise, process800 terminates at step 818.

The above logic is better understood in the context of specificexamples. A system without the Price Improvement feature is shown inQUAD 2200 of FIG. 22 a with a typical opening bid/offer displayed.

Assume that bids 2202, 2204, 2206, and 2208 shown in the bid/offer Stateare all hit by participant CUST 3005 selling the entire size ($25million) to the passive side. This results in participant CUST 3005 asthe aggressor and the contra-traders (participants CUST 3001, 3002 and3003) as the current workers. The market now enters the Qualified WorkupState as the aggressor has taken all initial size from the passive side.Those with priority, the aggressor, since his size is above thequalification size, and the third bidder (participant CUST 3003), sincehis size is the largest of those on the passive side, are highlighted,as shown in QUAD 2220 of FIG. 22 b.

Turning to QUAD 2240 of FIG. 22 c, it can be seen that participant CUST3003, as a qualified current worker, wishing to continue, adds anadditional $15 million 2242 (adding to participant CUST 3003's original$10 million 2244) which is displayed as “15” under Buy.

A new participant CUST 3004 now offers $50 million 2246. New participantCUST 3004 must wait until the current qualified workers are done, andthus participant CUST 3004 is put in the When State. During this time,participant CUST 3005 is still in the Qualified Workup State and sells$10 million to participant CUST 3003.

Turning to QUAD 2260 in FIG. 22 d, it can be seen that after terminationof the Workup State, an additional $5 million is sold 2262 fromparticipant CUST 3004 to participant CUST 3003, while leaving theremaining $45 million 2264 of participant CUST 3004 to be sold.

Price Retention State

As can be appreciated, various participant moves in the market are oftenfast paced, and, on occasion, position and price changes may occuralmost simultaneously. An example of this may be one participant hittinganother participant's bid of a certain price an instant after thebidding participant has significantly decreased the bid price. In thissituation, the aggressor has now unexpectedly sold his size at a muchlower price than the aggressor planned. Naturally, this situation can bevery disturbing to aggressors in rapidly shifting markets.

A Price Retention State in the present invention addresses this problem.If a passive side price is decreased or increased just prior to a hit orlift command, the price retention state determines which price to applyto the hit or lift command based upon the amount of time between thetime the price was changed and the subsequent hit or lift command. Forexample, if the price for an offer increases three-quarters of a secondprior to an aggressor lifting the offer, the price retention state willapply the pre-increase price to the lift rather than the post-increaseprice.

Similarly, if a bid or offer is canceled just prior to a hit or lift ofthat bid or offer, or if a participant enters a hit or lift command justsubsequent to another participant hitting or lifting a bid or offer, theprice retention state signals to the potential aggressor that “no trade”has been completed.

While the Price Retention State does protect the aggressor from changesin price, it also preferably requires that the aggressor hit or lift thewhole size that was posted in the bid or offer prior in order to receivethe early price. Any remaining size at the new price is then leftuncleared as an outstanding bid or offer. Others may also add more sizeon the passive side, but this new size is subject to the priority of thefirst bidder or offerer. Once the aggressor has hit or lifted the wholesize of the bid or offer at the early price, the aggressor assumescurrent worker status and has the right to:

-   -   1. Hit or lift the bid or offer at the new price and thus        possibly enter the Qualified Workup State with the        contra-trader(s); and    -   2. Refuse the new price by entering a “done” command, and        thereby leave the outstanding bid or offer waiting for a hit or        lift, and cause the aggressor to lose priority.

One embodiment of the Price Retention State of the present invention isillustrated in FIG. 9. At any time a trade is executed in the presentinvention, e.g., in the Bid/Offer State, Qualified Workup State, andPrice Improvement State, the Price Retention State is preferablyinitiated to verify the price of the trade. As shown, once process 900has begun at step 902, process 900 then retrieves information relatingto a bid or offer that was hit or lifted by an aggressor at step 904.Then, at step 906, process 900 determines if the bid/offer price haschanged within a past time interval (e.g., two seconds). If the pricehas changed, then at step 908 process 900 processes the hit or lift atthe earlier bid/offer price. Process 900 then enables the aggressor tohit or lift the bid or offer at the current price at step 910. If theaggressor does not hit or lift the bid or offer at step 910, thenprocess 900 terminates at step 914. Otherwise, if the aggressor hits orlifts the bid or offer at the current price at step 910, or if the pricedid not change at step 906, then process 900 processes the hit/lift atthe current price at step 912 and terminates at step 914.

These principles are illustrated in QUAD 2300 of FIG. 23 a and QUAD 2350of FIG. 23 b. Prior to the time of the display shown in QUAD 2300,participants CUST 3001, 3002, and 3003 each placed bids 2302, 2304, 2306to buy at 121.205 YEN/$ in sizes of $5 million, $1 million, and $1million, respectively. In response to these bids, participant CUST 3007entered a “HIT ALL” command to sell to bidders CUST 3001, 3002, and3003. Unknown to participant CUST 3007, however, at an instant prior toplacing the “HIT ALL” command, participant CUST 3004 placed a bid to buyat 121.100 YEN/$. Under the process of the Price Retention State,participant CUST 3007 is obligated to sell the $7 million at theoriginal price of 121.205 YEN/$, and has the option of also selling the$10 million at 121.100 YEN/$ requested by participant CUST 3004, but isunder no obligation to do so.

If Participant, CUST 3007 decides to hit the outstanding $10 million2352 of participant CUST 3004, as shown in QUAD 2350 of FIG. 23 b, thestate moves out of Price Retention State and into the Qualified WorkupState with participant CUST 3007 and participant CUST 3004 designated asthe current workers. Participant CUST 3007 and participant CUST 3004 arehighlighted in QUAD 2300 and QUAD 2350 to indicate that they are in theQualified Workup State.

If participant CUST 3007 elects not to hit the bid of participant CUST3004, the trade ends and the Price Retention State terminates.

Another aspect of the Price Retention State is the ability of the systemto age all bids and offers through system controlled parameters. Thisprovides participants with the ability to recognize and respond tocommands that are entered by participants by requiring that the bids andoffers are available for at least an aging period and thereby prevent“price noise” (i.e., bids and offers that are entered and then quicklyremoved) from excessive cancellations. Different currencies will havedifferent parameter settings including the possibility of having zeroaging.

Price Improvement State

The Price Improvement State of the present invention addresses thesituation in which an aggressor has indicated a willingness to trade atprices worse than the best price bid or offered by another participant.When an aggressor indicates such a willingness, any amount that theaggressor keeps in a buy or receives in a sell over that which theaggressor would have had at the worst acceptable price is a surplus. Toencourage participation in price improvement trading, this surplus isdistributed among the participants to a price improvement trade.

From the Qualified Workup State, the Price Improvement State ispreferably initiated by the aggressor indicating a willingness to tradeat a price worse than the best price. Once initiated, the PriceImprovement State then determines if a better priced buy/sell has beenentered by another trader.

For example, in a Workup trade, a non-priority passive trader may entera better priced buy/sell than that previously traded by the initial“best” passive trader with the aggressor. By entering this better pricedbuy/sell, the non-priority passive trader has shifted the price point ofthe trade to something between the new better price and the originaltrade price. If the initial “best” passive trader matches this newbetter price, then the trade will be consummated between the initial“best” passive trader and the aggressor. Otherwise, if the initial“best” passive trader does not match the new better price, then thetrade will be consummated between the non-priority passive trader andthe aggressor. In either case, by entering the better priced buy/sell,the non-priority passive trader has improved the price for both sides ofthis trade.

An illustration of a situation in which price improvement trading maytake place is shown in QUAD 2400 of FIG. 24 a. As can be seen, there arethree levels 2402, 2404, and 2406 of bids and offers shown. The numberof levels of bids and offers that are actually displayed on aworkstation is a system parameter and is typically tied to the number ofprice increments on the bid and offer sides, although any basis forsetting this number could be used. From this display, the participantswould be aware that there are four bids 2408, 2410, 2412, and 2414 for atotal of $90 million, ranging from 124.20 down to 123.90, and fiveoffers 2416, 2418, 2420, 2422, and 2424 for a total of $85 million,ranging from 124.30 up to 124.50. If, however, only a single level ofbids and offers were displayed, then the participants would only beaware that there are two bids 2408 and 2410 for a total of $25 millionat 124.20, and two offers 2416 and 2418 for a total of $15 million at124.30.

Once trading has commenced, a new seller in the illustration of QUAD2400 may become the aggressor with a command to sell 150 million down to123.70. In this case, the aggressor has in effect hit all of the bids2408, 2410, 2412, and 2414 shown on the passive side of the display ($90million in size) and therefore qualified to enter the Qualified WorkupState. Since the aggressor has also indicated a willingness to sell downto 123.70 (a price that is worse for the aggressor than the best priceof 124.20), the Qualified Workup State transitions to the PriceImprovement State (see FIG. 8). In the Price Improvement State, thefirst best qualified bidder is then given the opportunity to buyadditional volume at an improved price after the $90 million has beenhit. The improvement in the price for the subsequent trade is allocatedbetween the price originally bid by the passive trader that trades withthe aggressor and the aggressor's worst price (i.e., the 123.70reservation price). If all of the remaining trade is done between buyer2001 and the aggressor, then a Price Improvement trade of $60 million at123.95 may then be consummated. The price of 123.95 is merely an averageof price of 124.20 (the passive trader's bid price) and 123.70 (theaggressor's worst price). Although, an average is used here forillustration to calculate the improvement price, other methods tocalculate the improvement price could be used. In this example, buyer2001 can maintain its priority by committing to buy $60 million more atthe bid price of 124.20. However, the actual trade price is 123.95, thusproviding both the buyer and the seller with a 0.25 price improvement.

As mentioned above, the improvement price may simply be an averagebetween the bid price of the passive trader and the worst acceptableprice of the aggressor. However, other methods of determining theimprovement price may also be used, such as setting the improvementprice at two-thirds of the difference between the bid price and theworst price in favor of the aggressor (e.g., 124.03 in the exampleabove), setting the improvement price at the bid price to fully benefitthe aggressor, etc. The method used to calculate the improvement pricecould also change dynamically depending upon the size of the trade orupon any other factor or set of factors.

Once the trades have been executed, the present invention would thenindicate to the participants the trades that took place. One method ofdoing so would be to display the four trades individually as: “25@124.20,” “20@ 124.00,” “60@ 123.95,” and “45@ 123.90.” Preferably, anindicator would also be displayed to indicate which of the trades arePrice Improvement trades. Alternatively, the average price, only thelowest price, or the total size and the average price of the tradescould be displayed.

In the present invention, multiple bids/offers at different price levelsmay be displayed in a variety of ways. One approach is to not displayany out-of-market bids/offers, i.e., all inferior offerings are notdisplayed. A second approach is to provide the bidder/offerer with achoice as to whether the bidder's/offerer's inferior bid/offer isdisplayed when topped with a better price. A third approach is todisplay all bids/offers even when those bids/offers are topped. In thethird approach, this forms a “good till cancel” offering. A fourthapproach allows participants to customize the display of theirbids/offers so that they are displayed based upon one or more factors,such as time, size, and/or price characteristics.

In order to improve the opportunity for price improvement and to protectthe price improvement aggressor, all buy and sell orders received duringthe aggressor's exclusive time may be ranked and matched to provide thegreatest amount of price protection to the price improvement aggressor.Because of multi-levels of bids/offers, the first best qualifiedbidder/offerer will maintain priority only if it responds at its price,or if necessary, matches the best When Take price (i.e., a priceprovided by another passive trader that is in the When State).

Another example of the Price Improvement State processing is shown inQUADS 2430 and 2470 of FIGS. 24 b and 24 c. After four initial bids areplaced by participants CUST 2001, 2002, 2005, and 2012 for sizes of $10million, $1 million, $20 million, and $45 million, respectively, thefollowing entries may be made as shown in QUAD 2430 and QUAD 2470. Asillustrated in QUAD 2430, in response to each of these bids, aparticipant CUST 2008 may become the aggressor by initiating a priceimprovement trade by committing to sell $90 million down to a price of123.80. As a result of this action, participant CUST 2008 will hit eachof the bids by participants CUST 2001, 2002, 2005, and 2012, for a totalinitial trade of $76 million. By hitting the entire size of theparticipant side, participant CUST 2008 enters the Qualified WorkupState. During the exclusive time provided in the Qualified Workup State,participant CUST 2001 commits to buy $5 million more at 124.20, andparticipant CUST 2009 commits to a WHEN TAKE of $10 million more at124.30.

By having been the original best qualified bidder, participant CUST 2001has priority over participants CUST 2002 and 2009. If participant CUST2001 does not match the WHEN TAKE price of 124.30 at the end of theexclusive time of the Qualified Workup State, $10 million of the $14million to be sold by participant CUST 2008 is matched with the best buyshown—i.e., the When Take $10 million of participant CUST 2009. Theremaining $4 million is sold to participant CUST 2001. By not matchingthe 124.30 price, CUST 2001 only obtains the remainder of $4 million. Bymaintaining price and time priority, price improvement is obtained andthe aggressor is protected. The trades are shown in QUAD 2470.

One embodiment of a process 1000 for the Price Improvement State of thepresent invention is shown in FIG. 10. As illustrated, once process 1000has begun at step 1002, the process proceeds to step 1004 where tradeentries are received, ranked, and matched during the Workup Stateexclusive time as described above. Next, at step 1006, process 1000 getsthe information for the highest-ranked trade to begin processing thetrades. At step 1008, it is then determined if this trade is a WhenState hit/take. If the trade is determined to be a When State hit/takeat step 1008, process 1000 then determines at step 1010 if a maker hasmatched the trade. If a maker has matched the trade, then the trade isignored at step 1012. Next, process 1000 determines if any trades areleft at step 1014, and if there are, the next trade information isretrieved at step 1016 and process 1000 loops back to step 1008.Otherwise, if no trades are left, process 1000 terminates at step 1018.

If it is determined at step 1008 that the trade is not a When Statehit/take or if it is determined at step 1010 that a maker has notmatched this trade, then at step 1020 the improvement price for thistrade is calculated. Once the improvement price has been calculated, thetrade is executed at step 1022. Next, process 1000 determines if anysize of the aggressor is left at step 1024. If there is size left,process 1000 then branches to step 1014 to determine if any trades areleft, and if so, the next trade process 1000 gets information at step1016 and loops back to step 1008. Otherwise, if there is no size left orif there are no trades left, process 1000 terminates at step 1018.

Request for Market State

A Request For Market State enables a buyer or seller to indicate to themarket that the buyer or seller wants to know what price the market willbear for an indicated instrument. In preferred embodiments of theinvention, this may be accomplished by the system indicating that thereis a participant interested in either buying or selling a given size,although the market does not know which. This indication is made to themarket through a Request For Market.

Responses to the Request can be made by bidders, offerers, and marketmakers, i.e., participants who are prepared to either buy or selldepending on the spread quoted. Upon responding to the Request, theRequest For Market State may rank existing and responded bids and offersand check trade qualifications, and, when size is met, trades areexecuted within the parameters of the reservation price, providing priceimprovement where possible. Respondents to the Request are rewarded byknowing how many bidders and offerers responded to the request.Furthermore, to protect respondents, the hidden aggressor will not beable to see the individual bids and offers.

One embodiment of process 1100 for a Request For Market State isillustrated in FIG. 11. As shown, once process 1100 has begun at step1102, the requestor's specification of buy or sell, the reservationprice (worst acceptable price), and size are received at step 1104. Nextat step 1106, process 1100 displays to other participants a Request ForMarket along with the size of the request (though not the reservationprice and whether it is a buy or sell). At step 1108, process 1100receives bids/offers in response to the Request and ranks them by size.Process 1110 also monitors other bids/offers in the system to see ifthey satisfy the market request at step 1110. Then, at step 1112, theprocess determines if the request for market has timed-out. If it has,then the response results are displayed to the respondents at step 1114and the Request For Market State terminates at step 1116. Otherwise, ifthe Request For Market has not timed-out, then process 1100 determinesif the requestor's size has been met at step 1118. If the size has notbeen met, then the process loops back to step 1108. Otherwise, theprocess calculates improved prices for each of the bids/offers making upthe size, and executes the corresponding trades at step 1120. Once thetrades have been executed at step 1120, the response results aredisplayed to the respondents at step 1114 and the Request For MarketState terminates at step 1116.

Alternatively, the Request for Market State may execute any bids/offersthat meet a given percentage of the requester's size upon the requesttiming-out.

Restore State

In order to accommodate participants' desires and strategies withrespect to their bidding/offering and buying/selling, the presentinvention allows participants to automatically initiate bids/offers upona trading state change. This may be desirable to replicate a bid uponthat bid being hit. For example, assume that participant CUST 2001 isthe first qualified bidder bidding 124.20 Yen/$ for $5 million. Behindthat bid is another bid for $2 million at the same price. Next, assumethat participant CUST 2005 becomes an aggressor and hits the $5 millionbid, after which the trade clears or is done. Participant CUST 2001 maydesire to have its first bid replicated so that it can receive $10million in size before the trade clears or is done. The Restore State ofthe present invention enables this replication by automaticallyrestoring the same size bid at the same price without having to re-inputthe bid command based upon participant controlled parameters. TheRestore State controls the priority given to that automatically restoredbid. Position in the queue may be determined by a metric derived fromfactors that may include any of price, time, volume, and qualificationranking. In its simplest form, the first qualified bidder can maintainfirst position or be put at the end of the queue using only time ofarrival as the metric.

Other parameters allow the participant to time bids/offers, e.g., alwaysbe the best or worst by a certain increment or create a customizedalgorithm or metric to allow the Restore State to automatically controlquantitatively bids/offers. For example, decrease a bid by 0.10 if $100million is shown on either side. Utilization of the parameters is usefulin fast or volatile markets. By allowing the Restore State to controlcommands that automatically direct bidding/offering and buying/selling,e.g., allowing a participant to automatically be the best bidder/offererfor a given size, the present invention improves trading efficiency andthereby provides participants with ability to further control risk.

One embodiment of a Restore State process 1200 is illustrated in FIG.12. As shown, process 1200 begins at step 1202. Next, at step 1204, thisprocess receives restore instructions from participants. Preferably,these instructions define the event that must occur before the bid/offerwill be replicated. In preferred embodiments, the event may only bebased upon time, size, price, and qualification ranking, although otherfactors could also be used. When appropriate, at step 1204, the RestoreState preferably alerts a participant that instructions entered areinvalid and that new instructions should be entered. Next, at step 1206,process 1200 searches through each set of restore instructions forevents that may have occurred. Then, at step 1208, this processdetermines whether an event has occurred, and if not, the process loopsback to step 1204. Otherwise, if an event is determined to haveoccurred, then process 1200 determines if the participant qualifies atstep 1210. Preferably the participant will qualify for the Restore Stateonly if the participant is the first qualified bidder/offerer, althoughany other criteria or criterion could be used to determine if aparticipant qualifies—including allowing all or none of the participantsto qualify. If it is determined at step 1210 that the participant doesnot qualify, then process 1200 loops back to step 1204. Otherwise, theprocess determines the priority of the bid/offer at step 1212 andreplicates the bid/offer and places it in a bid/offer queue at step1214. After the replicated bid/offer has been placed in a queue at step1214, process 1200 loops back to step 1204.

Price Generation State

The Price Generation State of the present invention may be used toanchor the price difference or swap price of a price difference trade(e.g., a currency swap) to an underlying reference price and to alertparticipants to that price at the time of bids and offers.

The benefit of this state may be illustrated by referring to knownsystems. In such systems for currency swaps, for example, the currencyswaps are quoted and traded as a separate market instrument from thespot market. Nevertheless, the prices that are quoted for these swapsare highly dependent upon the price for the underlying currencies in thespot market. Because the prices in the spot market can change rapidly,the value of currency swaps may end up changing over the time that a bidor offer is displayed at a fixed price. Additionally, becauseparticipants may not have agreed upon the spot market price during thetime from when bids and offers were placed through when the bids andoffers are hit and taken, participants frequently cancel swap tradesbecause of an inability to later agree upon spot market prices.

Referring to QUAD 2500 in FIG. 25 a, it can be seen that a bid/offer forthe one-month currency swap in the dollar-Yen market is quoted at 34pips bid, 30 pips offered (where a “pip” is 0.01 in price). As alsoshown, the spot price in the spot market is 124.60-70 (i.e., 124.60 bid,124.70 offered). In order to fix the one month currency swap to theunderlying spot price, the present invention selects and displays areference price of 124.65 for the currency swap as shown. In thisexample, the price is merely an average of the bid and offer spotprices. However, any metric of price, volume and time may be used toselect the reference price.

In this way, the participants are relieved of the need for directnegotiation, and enabled to mark their positions to market, as shown inQUAD 2550 of FIG. 25 b. As can be seen, because the bid for 34 for theswap was hit, the marked to market price for the swap is 124.31 basedupon the reference price of 124.65.

One embodiment of a Price Generation State process 1300 of the presentinvention is illustrated in FIG. 13. As shown, once process 1300 hasbegun at step 1302, the process captures the current spot price for thecurrent bid/offer at step 1304. Then, at step 1306, process 1300determines a swap reference price for the swap trade using the currentspot price and the swap bid/offer price. Finally, the participants arenotified of this reference price at step 1308 and process 1300terminates at step 1310.

In other embodiments of the present invention, the pips that aredisplayed as bids and offers for a currency swap (in the example of FIG.25 a, 34-30) can be automatically modified to track the underlying spotmarket price rather than fixing a reference price for the bid or offer.In this way, an aggressor could hit or lift the price when the priceappeals to the aggressor. If the bidder or offerer feels that the bid oroffer has become undesirable because of the changes to the bid or offerdue to the underlying spot market price, the bidder of offerer couldcancel the bid or offer at any time prior to it being hit of lifted.

Position Conversion State

The Position Conversion State of the present invention allowsparticipants to value and convert a position that is associated with atrade so that the effective value date of the trade is later in timethan the pre-conversion value date. This may be advantageous when theparticipant anticipates that the position will increase in value as timeprogresses from the pre-conversion value date to the effective valuedate. For example, a long futures spot Dollar position traded at 9:00a.m. at 124.10 Yen/$ on Feb. 3, 1999 has a value date of Feb. 5, 1999.If the participant desires to move the effective value date to Feb. 8,1999, the Position Conversion State of the present invention may beutilized to change the pre-conversion value date of Feb. 5, 1999 to theeffective value date of Feb. 8, 1999.

In order to convert a position from one value date to another, aparticipant effectively borrows one currency while simultaneouslylending another. Because of interest rate arbitrage, the participant mayeither spend or receive a net interest rate while simultaneouslyborrowing one currency and lending another. This net interest rate isthe equivalent rate for extending the value date of the position from apre-conversion value date to an effective value date, and is also acomponent of the cost of carrying the position between value dates.

In continuing the example above, the participant would pay or receivethe net interest rate for simultaneously lending and borrowing Dollarsand Yen from Friday, February 5, to Monday, February 8. In this case,the net interest rate, or spot/next rate, is a three-day rate—onebusiness day plus two weekend days. By choosing to roll the value datefrom Friday to Monday, the participant has essentially converted itsposition into a different one.

The Position Conversion State allows the participant to set up whenrollovers occur, and preferably automatically rolls over a position tothe next day if the participant fails to indicate to do otherwise. Forexample, a participant who buys $25 million spot Dollars for deliveryagainst Yen at 9:00 a.m. on Wednesday, may select whether to rolloverthe position or not at the time of the trade or may choose to deferdecision of whether to roll over the trade until the close of trading.By deferring its position, the participant maintains its option ofselling $25 million spot dollars against Yen until the close of trading(in case the participant wants to net out the buy transaction and thesell transaction so that its position is zero). If the participantchooses to defer to roll over the trade until the close of trading andfails to do so manually, the Position Conversion State of the presentinvention automatically converts or rolls over the spot transaction fora value date that is one day later than the pre-conversion value date.

In order to effect such rollovers, the Position Conversion State alsopreferably determines the net interest rate that the participant eitherpays or receives. In the example above, this rate is the price or rateof a spot/next transaction in the Dollar/Yen market. The PositionConversion State determines the rate by polling various currency lendersfor their rates. Based upon these rates, the Position Conversion Statethen calculates the net interest rate. For example, in one embodiment,the Position Conversion State may average the middle six of eight ratesreceived from lenders for spot/next Dollar/Yen (three days) from Friday,February 5 to Monday, February 8.

Finally, the Position Conversion State applies the rate to theparticipants for the trade and accordingly credits one side and debitsthe other side for that net interest rate over the conversion period.

One embodiment of a process 1400 for a Position Conversion State isillustrated in FIG. 14. As shown, once process 1400 has begun at step1402, the process allows a participant to indicate whether or not torollover a trade at trade time or to defer the participant's decision atstep 1404. At step 1406, process 1400 waits for the close of trading. Ifit is determined that the close of trading has not occurred, thenprocess 1400 loops back to step 1404. Otherwise, the process proceeds toreceive interest rates from lenders at step 1408. These interest ratesare used to calculate the price conversion costs/gains. Then at step1410, process 1400 retrieves the first trade. Next at step 1412, theprocess determines whether this trade is to be rolled over. This mayhave been indicated by the participant as “yes” or “no,” or may havebeen deferred. If the participant indicated “no,” then process 1400determines if there are any other trades to process for positionconversion at step 1416. If there are, then the process gets the nexttrade at step 1418 and loops back to step 1412. Otherwise, if there areno more trades, then process 1400 loops back to step 1404 to wait formore trade entries. If it is determined at step 1412, however, that thetrade is to be rolled over or if the participant deferred decision ofwhether to roll over the trade, then process 1400 rolls over the tradeby calculating the rate for the rollover and by crediting and debitingthe traders at step 1414. Once the trade has been rolled over, process1400 branches from step 1414 to step 1416 to determine if any moretrades are to be processed for position conversion.

Marking to Market State

Participants need measures that value transaction activity. In a riskenvironment, market price changes create profit and loss to long orshort positions. The Marking to Market State of the present inventionallows participants to dynamically measure a single transaction or a setof transactions. The measure, or “fixing” of a set of prices, may beused for profit and loss risk measurement, margining requirements,financial settlement and invoicing, etc.

Using the Marking to Market State, a participant can select measuresthat are applicable. For example, a participant may want to select theaverage weighted price of the last five minutes of trading as itsmarking to market measure. Another participant may select the weightedaverage trades that take place between 10:00 a.m. and 2:00 p.m. Londontime as its marking to market measure. This later measure isparticularly useful to a bank's foreign currency manager who may overseetraders in both New York and London.

Also using the Marking to Market State, participants can group marketactivity to create a subset of transactions that can be marked to marketat any time and from time to time, or dynamically as the market changes.

These marking to market measures may then be passed to the ParticipantQualification State to allow participants to better control both theirown and counter party risk.

One embodiment of a process 1500 for the Marking to Market State isillustrated in FIG. 15. As shown, once process 1500 has begun at step1502, the process receives participant selections of measures to be usedand transactions to be marked to market at step 1504. Any suitablemeasures can be used on any portion of the transactions by aparticipant. Next, at step 1506, the process selects the firstparticipant. Then, at step 1508, process 1500 determines if theparticipant's transactions are ready to be marked to market. If thetransactions are not ready, then the process determines if this is thelast participant at step 1510. If this is not the last participant,process 1500 selects the next participant at step 1512 and loops back tostep 1508. Otherwise, if this is determined to be the last participantat step 1510, then process 1500 branches to step 1504.

If at step 1508, however, it is determined that the participant'stransactions are ready to be marked to market, then process 1500 selectsthe first transaction at step 1514. Next, this process determines ifthis transaction is to be marked to market at step 1516. If thetransaction is not to be marked to market, then process 1500 determinesif this transaction is the last transaction at step 1518. If this is notthe last transaction, process 1500 selects the next transaction at step1520 and loops back to step 1516. Otherwise, if it is determined at step1518 that this is the last transaction, then the process transfers thedata to the participant at step 1524. This data may be displayed as atotal volume, an average price, a net position, a weighted averageprice, or as any other suitable information, for the correspondingtransactions. Once the data has been transferred, process 1500 branchesto step 1510 to determine if this is the last participant.

If at step 1516, however, it is determined that this transaction is tobe marked to market, then process 1500 applies participant-selectedmeasures to the transaction at step 1522 and branches to step 1518 todetermine if there are any more transactions.

Delivery State

In preferred embodiments of the present invention, a Delivery State isprovided through which a participant to a trade is able to settle andclose-out the trade rather than roll over, or continue to roll over, thetrade through a mechanism such as the Position Conversion State. Forexample, in the instance where an exporter of soy beans has agreed (inMay) to make a delivery (in December) of soy beans to Japan in exchangefor a large sum of Yen, the exporter may choose to lock-in (in May) thevalue of his agreement in Dollars by entering into a futures contract tobuy Dollars in exchange for the large sum of Yen to be received from hissoy bean agreement. Through the soy bean agreement and the futurescontract, the exporter has arranged in May to sell soy beans in exchangefor a fixed sum of Dollars, regardless of the value of Yen versusDollars in December. Because the exporter presumably wants the cash fromhis soy bean sale, the exporter will want to settle and close-out hisfutures contract in December rather than roll over that contract.

One embodiment of a Delivery State process 1600 in accordance with thepresent invention is illustrated in FIG. 16. The Delivery State ispreferably initiated automatically after the Participant QualificationState has determined that the participant qualifies to trade (see FIG.4, step 412), although the Delivery State could also be initiated by theparticipant from the Command State (see FIG. 3, state 330).

Once the Delivery State has begun at step 1602, process 1600 searchesfor outstanding transactions for the current participant at steps 1604and 1606. If no transactions are outstanding, then process 1600terminates at step 1628. Otherwise, if outstanding transactions aredetermined to exist at step 1606, then at step 1608, process 1600notifies the participant of the close-out date for each transaction.Next, at step 1610, the process determines if the current date is aclose-out date for one or more of the transactions. If not, then process1600 terminates at step 1628. Otherwise, if the current date isdetermined to be a close-out date at step 1610, then the process asksthe participant if it wants to close-out the transaction at step 1612.If not, then process 1600 terminates at step 1628.

However, if the participant does want to close out the transaction atstep 1612, then process 1600 determines if the participant is qualifiedto close-out the transaction at step 1614. If the participant is notqualified, then process 1600 notifies the participant that it is notqualified at step 1616 and terminates at step 1628. Otherwise, if theparticipant is qualified, then process 1600 activates a deliverybid/offer cell for each transaction at step 1618. Next, process 1600receives bids/offers for delivery of the transactions at step 1620.Then, at step 1622, the process determines if there was a hit/take fromthe participant for a bid/offer. If not, then process 1600 determines ifthe market is done for these transactions at step 1630, and, if so,terminates at step 1628. If the market is not done at step 1630, thenthe process loops back to step 1620 to receive more bids/offers.

If at step 1622 it is determined that there is a hit/take for abid/offer, then, at step 1624, the process commits the participant thatentered the bid/offer to settlement and delivery of the transactions,and then loops back to step 1620 to receive bids/offers for othertransactions, if any.

One skilled in the art will appreciate that the present invention can bepracticed by other than the described embodiments, which are presentedfor purposes of illustration and not of limitation, and the presentinvention is limited only by the claims which follow.

1. An apparatus comprising at least one computing device having controllogic associated therewith that when executed makes the computing deviceoperable to: receive from a first work station an order, in which theorder comprises a first price and a size; receive from a second workstation a trading command against at least a portion of the size of theorder; prior to executing the trading command, change the order from thefirst price to a second price; and execute the trading command againstthe order at the first price; in which the control logic, that whenexecuted, makes the computing device further operable to determine thata time at which the order is changed to the second price is within apredetermined time interval prior to a time of the trading command; andin which to execute the trading command against the order at the firstprice comprises to execute the trading command against the order at thefirst price based at least in part on determining that the time at whichthe order is changed to the second price is within the predeterminedtime interval prior to the time of the trading command.
 2. The apparatusof claim 1, in which the order comprises at least one of: a bid, and anoffer; and in which the trading command comprises at least one of: a hitof at least the portion of the size of the bid, and a lift of at leastthe portion of the size of the offer.
 3. The apparatus of claim 1, inwhich the control logic, that when executed, makes the computing devicefurther operable to: determine that the time at which the order ischanged to the second price is outside the predetermined time intervalprior to the time of the trading command; and execute the tradingcommand against the order at the second price based at least in part ondetermining that the time at which the order is changed to the secondprice is outside the predetermined time interval prior to the time ofthe trading command.
 4. The apparatus of claim 3, in which to executethe trading command against the order at the first price comprises toexecute the trading command against the order at the first price and ata size that is less than the size of the order, and in which the ordercomprises a remaining size after executing the trading command againstthe order at the first price; and in which the control logic, that whenexecuted, makes the computing device further operable, after executingthe trading command against the order at the first price, to post theorder at the second price and at the remaining size.
 5. The apparatus ofclaim 3, in which the time of the trading command comprises a time thetrading command is placed.
 6. The apparatus of claim 3, in which thetime of the trading command comprises a time the trading command isexecuted.
 7. An apparatus comprising at least one computing devicehaving control logic associated therewith that when executed makes thecomputing device operable to: receive from a first work station anorder, in which the order comprises a first price and a size; receivefrom a second work station a trading command against at least a portionof the size of the order; prior to executing the trading command, changethe order from the first price to a second price; and execute thetrading command against the order at the first price; in which thecontrol logic, that when executed, makes the computing device furtheroperable to: determine that the trading command is for at least the sizeof the order; and determine that a time at which the order is changed tothe second price is within a predetermined time interval prior to a timeof the trading command; and in which to execute the trading commandagainst the order at the first price comprises to execute the tradingcommand against the order at the first price based at least in part ondetermining that the trading command is for at least the size of theorder and determining that the time at which the order is changed to thesecond price is within the predetermined time interval prior to the timeof the trading command.
 8. The apparatus of claim 7, in which thecontrol logic, that when executed, makes the computing device furtheroperable to: determine that the trading command is for less than thesize of the order; and execute the trading command against the order atthe second price based at least in part on determining that the tradingcommand is for less than the size of the order.
 9. The apparatus ofclaim 8, in which the control logic, that when executed, makes thecomputing device further operable to: determine that the time at whichthe order is changed to the second price is outside the predeterminedtime interval prior to the time of the trading command; and execute thetrading command against the order at the second price based at least inpart on determining that the time at which the order is changed to thesecond price is outside the predetermined time interval prior to thetime of the trading command.
 10. An apparatus comprising at least onecomputing device having control logic associated therewith that whenexecuted makes the computing device operable to: receive from a firstwork station an order, in which the order comprises a first price and asize; receive from a second work station a trading command against atleast a portion of the size of the order; prior to executing the tradingcommand, change the order from the first price to a second price; andexecute the trading command against the order at the first price; inwhich the control logic, that when executed, makes the computing devicefurther operable to: determine an amount of time between a time theorder is changed to the second price and a time of the trading command;determine that the amount of time is less than a predetermined value,and in which to execute the trading command against the order at thefirst price comprises to execute the trading command against the orderat the first price based at least in part on determining that the amountof time is less than the predetermined value; determine that the amountof time is greater than the predetermined value; and execute the tradingcommand against the order at the second price based at least in part ondetermining that that the amount of time is greater than thepredetermined value.
 11. The apparatus of claim 10, in which to executethe trading command against the order at the first price comprises toexecute the trading command against the order at the first price and ata size that is less than the size of the order, and in which the ordercomprises a remaining size after executing the trading command againstthe order at the first price; and in which the control logic, that whenexecuted, makes the computing device further operable, after executingthe trading command against the order at the first price, to post theorder at the second price and at the remaining size.
 12. The apparatusof claim 10, in which the time of the trading command comprises a timethe trading command is placed.
 13. The apparatus of claim 10, in whichthe time of the trading command comprises a time the trading command isexecuted.
 14. An apparatus comprising at least one computing devicehaving control logic associated therewith that when executed makes thecomputing device operable to: receive from a first work station anorder, in which the order comprises a first price and a size; receivefrom a second work station a trading command against at least a portionof the size of the order; prior to executing the trading command, changethe order from the first price to a second price; and execute thetrading command against the order at the first price; in which thecontrol logic, that when executed, makes the computing device furtheroperable to: receive from the first work station a command that changesthe order to the second price; determine an amount of time between thetrading command and the command that changes the order to the secondprice; determine that the amount of time is less than a predeterminedvalue, and in which to execute the trading command against the order atthe first price comprises to execute the trading command against theorder at the first price based at least in part on determining that theamount of time is less than the predetermined value; determine that theamount of time is greater than the predetermined value; and execute thetrading command against the order at the second price based at least inpart on determining that the amount of time is greater than thepredetermined value.
 15. A method comprising: receiving by at least onecomputing device from a first work station an order, in which the ordercomprises a first price and a size; receiving by the computing devicefrom a second work station a trading command against at least a portionof the size of the order; prior to executing the trading command,changing by the computing device the order from the first price to asecond price; and executing by the computing device the trading commandagainst the order at the first price; in which the method furthercomprisesing: determining by the computing device that a time at whichthe order is changed to the second price is within a predetermined timeinterval prior to a time of the trading command; and in which executingthe trading command against the order at the first price comprisesexecuting the trading command against the order at the first price basedat least in part on determining that the time at which the order ischanged to the second price is within the predetermined time intervalprior to the time of the trading command.
 16. The method of claim 15, inwhich executing the trading command against the order at the first pricecomprises executing the trading command against the order at the firstprice and at a size that is less than the size of the order, and inwhich the order comprises a remaining size after executing the tradingcommand against the order at the first price; and in which the methodfurther comprises, after executing the trading command against the orderat the first price, posting by the computing device the order at thesecond price and at the remaining size.
 17. The method of claim 15, inwhich the time of the trading command comprises a time the tradingcommand is placed.
 18. The method of claim 15, in which the time of thetrading command comprises a time the trading command is executed.
 19. Amethod comprising: receiving by at least one computing device from afirst work station an order, in which the order comprises a first priceand a size; receiving by the computing device from a second work stationa trading command against at least a portion of the size of the order;prior to executing the trading command, changing by the computing devicethe order from the first price to a second price; and executing by thecomputing device the trading command against the order at the firstprice; in which the method further comprises: determining by thecomputing device that the trading command is for at least the size ofthe order; and determining by the computing device that a time at whichthe order is changed to the second price is within a predetermined timeinterval prior to a time of the trading command; and in which executingthe trading command against the order at the first price comprisesexecuting the trading command against the order at the first price basedat least in part on determining that the trading command is for at leastthe size of the order and determining that the time at which the orderis changed to the second price is within the predetermined time intervalprior to the time of the trading command.
 20. A method comprising:receiving by at least one computing device from a first work station anorder, in which the order comprises a first price and a size; receivingby the computing device from a second work station a trading commandagainst at least a portion of the size of the order; prior to executingthe trading command, changing by the computing device the order from thefirst price to a second price; and executing by the computing device thetrading command against the order at the first price; in which themethod further comprises: determining by the computing device an amountof time between a time the order is changed to the second price and atime of the trading command; and determining by the computing devicethat the amount of time is less than a predetermined value; and in whichexecuting the trading command against the order at the first pricecomprises executing the trading command against the order at the firstprice based at least in part on determining that the amount of time isless than the predetermined value.
 21. The method of claim 20, in whichthe time of the trading command comprises a time the trading command isplaced.
 22. The method of claim 20, in which the time of the tradingcommand comprises a time the trading command is executed.
 23. A methodcomprising: receiving by at least one computing device from a first workstation an order, in which the order comprises a first price and a size;receiving by the computing device from a second work station a tradingcommand against at least a portion of the size of the order; prior toexecuting the trading command, changing by the computing device theorder from the first price to a second price; and executing by thecomputing device the trading command against the order at the firstprice; in which the method further comprises: receiving by the computingdevice from the first work station a command that changes the order tothe second price; determining by the computing device an amount of timebetween the trading command and the command that changes the order tothe second price; and determining by the computing device that theamount of time is less than a predetermined value; and in whichexecuting the trading command against the order at the first pricecomprises executing the trading command against the order at the firstprice based at least in part on determining that the amount of time isless than the predetermined value.